Statistical inference for critical continuous state and continuous time branching processes with immigration

DOI10.1007/S00184-016-0578-8MaRDI QIDQ314552zbMATHOpenAlexFDO

Authors Mátyás Barczy, Kristóf Körmendi, Gyula Pap

Publication date 16 September 2016

Published in Metrika (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1411.2232

zbMATH Keywords

branching and immigration mechanismsconditional least squares estimatorcontinuous state and continuous time branching processes with immigrationnon-normal asymptotic limit behaviour

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Branching processes (Galton-Watson, birth-and-death, etc.) (60J80)

Abstract: We study asymptotic behavior of conditional least squares estimators for critical continuous state and continuous time branching processes with immigration based on discrete time (low frequency) observations.

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Cited in

(4)

• Statistical inference of subcritical strongly stationary Galton-Watson processes with regularly varying immigration
• Stable convergence of conditional least squares estimators for supercritical continuous state and continuous time branching processes with immigration
• Statistical inference for partially observed branching processes with immigration
• Nearly unstable integer‐valued ARCH process and unit root testing

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